www.gusucode.com > econ 案例源码程序 matlab代码 > econ/EstimateWhitesRobustCovarianceforOLSCoefficientEstimatesExample.m
%% Estimate White's Robust Covariance for OLS Coefficient Estimates % Model an automobile's price with its curb weight, engine size, and cylinder % bore diameter using the linear model: % % $$\texttt{price}_i = {\beta _0} + {\beta _1}\texttt{curbWeight}_i + {\beta _2}\texttt{engineSize}_i + {\beta _3}\texttt{bore}_i + {\varepsilon _i}.$$ % % Estimate model coefficients and White's robust covariance. % Copyright 2015 The MathWorks, Inc. %% % Load the 1985 automobile imports data set (Frank and Asuncion, 2012). % Extract the columns that correspond to the predictor and response variables. load imports-85 Tbl = table(X(:,7),X(:,8),X(:,9),X(:,15),... 'Variablenames',{'curbWeight','engineSize',... 'bore','price'}); %% % Fit the linear model to the data and plot the residuals versus the fitted % values. Mdl = fitlm(Tbl); plotResiduals(Mdl,'fitted') %% % The residuals seem to flare out, which indicates heteroscedasticity. %% % Compare the coefficient covariance estimate from OLS and from using |hac| % to calculate White's heteroscedasticity robust estimate. [LSCov,LSSe,coeff] = hac(Mdl,'type','HC','weights',... 'CLM','display','off'); %Usual OLS estimates, also found in %Mdl.CoefficientCovariance LSCov [WhiteCov,WhiteSe,coeff] = hac(Mdl,'type','HC','weights',... 'HC0','display','off'); % White's estimates WhiteCov %% % The OLS coefficient covariance estimate is not equal to White's robust % estimate because the latter accounts for the heteroscedasticity in the % residuals.